Gerlach, Richard; Huang, Hai; Lu, Zudi - Business School, University of Sydney - 2010
Gaussian distribution, and the Guermat and Harris (2001)'s robust-EWMA, from a Laplace distribution, we motivate and derive our … skewed-EWMA procedure from an asymmetric Laplace distribution, where both skewness and heavy tails in return distribution and … shape parameter controlling the skewness and kurtosis in the distribution is suggested. Backtesting results show that our …